Large deviation limit for discrete-time, totally observed stochastic control problems with multiplicative cost

1997 ◽  
Vol 35 (2) ◽  
pp. 221-235
Author(s):  
P. Dai Pra ◽  
C. Rudari
Keyword(s):  
Stochastic Control ◽  
Discrete Time ◽  
Large Deviation ◽  
Control Problems ◽  
Stochastic Control Problems

scholarly journals Convexity and convex approximations of discrete-time stochastic control problems with constraints

Automatica ◽  
2011 ◽  
Vol 47 (9) ◽  
pp. 2082-2087 ◽  
Author(s):  
Eugenio Cinquemani ◽  
Mayank Agarwal ◽  
Debasish Chatterjee ◽  
John Lygeros
Keyword(s):  
Stochastic Control ◽  
Discrete Time ◽  
Control Problems ◽  
Stochastic Control Problems ◽  
Convex Approximations
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